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<div class="subTitle">org.apache.commons.math3.stat.regression</div>
<h2 title="Class GLSMultipleLinearRegression" class="title">Class GLSMultipleLinearRegression</h2>
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<li><a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">org.apache.commons.math3.stat.regression.AbstractMultipleLinearRegression</a></li>
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<li>org.apache.commons.math3.stat.regression.GLSMultipleLinearRegression</li>
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<dt>All Implemented Interfaces:</dt>
<dd><a href="../../../../../../org/apache/commons/math3/stat/regression/MultipleLinearRegression.html" title="interface in org.apache.commons.math3.stat.regression">MultipleLinearRegression</a></dd>
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<pre>public class <span class="strong">GLSMultipleLinearRegression</span>
extends <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</a></pre>
<div class="block">The GLS implementation of multiple linear regression.

 GLS assumes a general covariance matrix Omega of the error
 <pre>
 u ~ N(0, Omega)
 </pre>

 Estimated by GLS,
 <pre>
 b=(X' Omega^-1 X)^-1X'Omega^-1 y
 </pre>
 whose variance is
 <pre>
 Var(b)=(X' Omega^-1 X)^-1
 </pre></div>
<dl><dt><span class="strong">Since:</span></dt>
  <dd>2.0</dd>
<dt><span class="strong">Version:</span></dt>
  <dd>$Id: GLSMultipleLinearRegression.java 1553598 2013-12-26 22:18:02Z psteitz $</dd></dl>
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<th class="colOne" scope="col">Constructor and Description</th>
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<td class="colOne"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#GLSMultipleLinearRegression()">GLSMultipleLinearRegression</a></strong>()</code>&nbsp;</td>
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<caption><span>Methods</span><span class="tabEnd">&nbsp;</span></caption>
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<th class="colFirst" scope="col">Modifier and Type</th>
<th class="colLast" scope="col">Method and Description</th>
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<td class="colFirst"><code>protected <a href="../../../../../../org/apache/commons/math3/linear/RealVector.html" title="class in org.apache.commons.math3.linear">RealVector</a></code></td>
<td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#calculateBeta()">calculateBeta</a></strong>()</code>
<div class="block">Calculates beta by GLS.</div>
</td>
</tr>
<tr class="rowColor">
<td class="colFirst"><code>protected <a href="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</a></code></td>
<td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#calculateBetaVariance()">calculateBetaVariance</a></strong>()</code>
<div class="block">Calculates the variance on the beta.</div>
</td>
</tr>
<tr class="altColor">
<td class="colFirst"><code>protected double</code></td>
<td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#calculateErrorVariance()">calculateErrorVariance</a></strong>()</code>
<div class="block">Calculates the estimated variance of the error term using the formula</div>
</td>
</tr>
<tr class="rowColor">
<td class="colFirst"><code>protected <a href="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</a></code></td>
<td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#getOmegaInverse()">getOmegaInverse</a></strong>()</code>
<div class="block">Get the inverse of the covariance.</div>
</td>
</tr>
<tr class="altColor">
<td class="colFirst"><code>protected void</code></td>
<td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#newCovarianceData(double[][])">newCovarianceData</a></strong>(double[][]&nbsp;omega)</code>
<div class="block">Add the covariance data.</div>
</td>
</tr>
<tr class="rowColor">
<td class="colFirst"><code>void</code></td>
<td class="colLast"><code><strong><a href="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#newSampleData(double[], double[][], double[][])">newSampleData</a></strong>(double[]&nbsp;y,
             double[][]&nbsp;x,
             double[][]&nbsp;covariance)</code>
<div class="block">Replace sample data, overriding any previous sample.</div>
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<h3>Methods inherited from class&nbsp;org.apache.commons.math3.stat.regression.<a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</a></h3>
<code><a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateResiduals()">calculateResiduals</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateYVariance()">calculateYVariance</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateErrorVariance()">estimateErrorVariance</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressandVariance()">estimateRegressandVariance</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressionParameters()">estimateRegressionParameters</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressionParametersStandardErrors()">estimateRegressionParametersStandardErrors</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressionParametersVariance()">estimateRegressionParametersVariance</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressionStandardError()">estimateRegressionStandardError</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateResiduals()">estimateResiduals</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#getX()">getX</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#getY()">getY</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#isNoIntercept()">isNoIntercept</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#newSampleData(double[], int, int)">newSampleData</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#newXSampleData(double[][])">newXSampleData</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#newYSampleData(double[])">newYSampleData</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#setNoIntercept(boolean)">setNoIntercept</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#validateCovarianceData(double[][], double[][])">validateCovarianceData</a>, <a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#validateSampleData(double[][], double[])">validateSampleData</a></code></li>
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<code><a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#clone()" title="class or interface in java.lang">clone</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#equals(java.lang.Object)" title="class or interface in java.lang">equals</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#finalize()" title="class or interface in java.lang">finalize</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#getClass()" title="class or interface in java.lang">getClass</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#hashCode()" title="class or interface in java.lang">hashCode</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#notify()" title="class or interface in java.lang">notify</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#notifyAll()" title="class or interface in java.lang">notifyAll</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#toString()" title="class or interface in java.lang">toString</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#wait()" title="class or interface in java.lang">wait</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#wait(long)" title="class or interface in java.lang">wait</a>, <a href="http://docs.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true#wait(long, int)" title="class or interface in java.lang">wait</a></code></li>
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<h4>GLSMultipleLinearRegression</h4>
<pre>public&nbsp;GLSMultipleLinearRegression()</pre>
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<a name="newSampleData(double[], double[][], double[][])">
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<h4>newSampleData</h4>
<pre>public&nbsp;void&nbsp;newSampleData(double[]&nbsp;y,
                 double[][]&nbsp;x,
                 double[][]&nbsp;covariance)</pre>
<div class="block">Replace sample data, overriding any previous sample.</div>
<dl><dt><span class="strong">Parameters:</span></dt><dd><code>y</code> - y values of the sample</dd><dd><code>x</code> - x values of the sample</dd><dd><code>covariance</code> - array representing the covariance matrix</dd></dl>
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<h4>newCovarianceData</h4>
<pre>protected&nbsp;void&nbsp;newCovarianceData(double[][]&nbsp;omega)</pre>
<div class="block">Add the covariance data.</div>
<dl><dt><span class="strong">Parameters:</span></dt><dd><code>omega</code> - the [n,n] array representing the covariance</dd></dl>
</li>
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<a name="getOmegaInverse()">
<!--   -->
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<h4>getOmegaInverse</h4>
<pre>protected&nbsp;<a href="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</a>&nbsp;getOmegaInverse()</pre>
<div class="block">Get the inverse of the covariance.
 <p>The inverse of the covariance matrix is lazily evaluated and cached.</p></div>
<dl><dt><span class="strong">Returns:</span></dt><dd>inverse of the covariance</dd></dl>
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<a name="calculateBeta()">
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<h4>calculateBeta</h4>
<pre>protected&nbsp;<a href="../../../../../../org/apache/commons/math3/linear/RealVector.html" title="class in org.apache.commons.math3.linear">RealVector</a>&nbsp;calculateBeta()</pre>
<div class="block">Calculates beta by GLS.
 <pre>
  b=(X' Omega^-1 X)^-1X'Omega^-1 y
 </pre></div>
<dl>
<dt><strong>Specified by:</strong></dt>
<dd><code><a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateBeta()">calculateBeta</a></code>&nbsp;in class&nbsp;<code><a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</a></code></dd>
<dt><span class="strong">Returns:</span></dt><dd>beta</dd></dl>
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<a name="calculateBetaVariance()">
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<h4>calculateBetaVariance</h4>
<pre>protected&nbsp;<a href="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</a>&nbsp;calculateBetaVariance()</pre>
<div class="block">Calculates the variance on the beta.
 <pre>
  Var(b)=(X' Omega^-1 X)^-1
 </pre></div>
<dl>
<dt><strong>Specified by:</strong></dt>
<dd><code><a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateBetaVariance()">calculateBetaVariance</a></code>&nbsp;in class&nbsp;<code><a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</a></code></dd>
<dt><span class="strong">Returns:</span></dt><dd>The beta variance matrix</dd></dl>
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<h4>calculateErrorVariance</h4>
<pre>protected&nbsp;double&nbsp;calculateErrorVariance()</pre>
<div class="block">Calculates the estimated variance of the error term using the formula
 <pre>
  Var(u) = Tr(u' Omega^-1 u)/(n-k)
 </pre>
 where n and k are the row and column dimensions of the design
 matrix X.</div>
<dl>
<dt><strong>Overrides:</strong></dt>
<dd><code><a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateErrorVariance()">calculateErrorVariance</a></code>&nbsp;in class&nbsp;<code><a href="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</a></code></dd>
<dt><span class="strong">Returns:</span></dt><dd>error variance</dd><dt><span class="strong">Since:</span></dt>
  <dd>2.2</dd></dl>
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